For the rice pudding, place the cream, milk and vanilla pod and seeds into a pan and bring to a simmer. Remove the vanilla pod and discard.
Whisk the egg yolks and sugar together in a bowl until pale and creamy, then pour over the hot cream, whisking all the time, then return the mixture to the pan over a low heat. Stir constantly, until the custard thickens enough to coat the back of a spoon, then stir in the cooked rice.
For the oranges, heat the sugar in a dry frying pan until it starts to melt and turn golden, then add the orange and lemon zest. Cook until the oranges start to caramelise in the sugar. Fold the oranges into the rice pudding.
Serve the rice pudding in a bowl topped with the toasted flaked almonds.