In a large saucepan over medium-high, heat the oil until shimmering. Add the shallots and cook, stirring occasionally, until softened, about 5 minutes. Add the cumin, paprika, bay leaves and 1 teaspoon pepper, then cook, stirring, until fragrant, about 30 seconds. Add the lentils, roasted peppers and broth, then bring to a boil. Cover, reduce to low and cook, stirring occasionally, until the lentils are softened and just beginning to fall apart, about 35 minutes.