Peel orange segments, deseed and slit in the center horizontally. Chop half of them. Heat two and a half teaspoons of sugar and orange juice in a pan till caramalised. Pour into a jelly mould and rotate the mould so that the caramel spreads all over the mould. Warm milk. Break eggs, one by one into a bowl and beat lightly. Add sugar and beat lightly so that no air bubbles are formed. Add vanilla essence and mix.
Gradually add warm milk and mix so that all the sugar is dissolved. Strain the mixture into a bowl. Preheat oven to 170°C. Pour the milk-egg mixture into the prepared jelly mould. Add saffron and mix. Add chopped and full orange segments and mix lightly.
Pour some water into a baking tray, place the mould in the tray, cover with a greaseproof paper so that a crust does not form on top. Place the tray in the preheated oven and bake at 170°C for thirty to forty minutes. Once done let it cool before turning it out onto a serving dish. Serve chilled.