Blend butter, lemon rind, orange rind, paprika, salt and pepper. In a skillet, heat oil with bay leaf on high heat, discard bay leaf and saute the filets for 12-15 minutes, turning. Take out and keep warm.
Pour off oil and deglaze the skillet with cognac. Add butter mixture, onion and cook low until onion cooked. Stir in beer, ketchup, Worcestershire, parsley. Bring to a boil. Stir in cream. Season with salt and pepper and serve over filet mignon with rice. Serves 4.