Thoroughly wash the oranges, then zest them and juice them. Set the juice and zest aside.
Finely chop the fresh chili pepper. If you prefer a milder flavor, remove the seeds. Set aside.
In a bowl, whisk together the egg yolks and brown sugar until smooth and pale.
In a large bowl, whip the heavy cream until soft peaks form. Be careful not to overwhip; you want to maintain a light, airy texture.
Combine the orange juice, zest, and chopped chili in a saucepan. Cook over medium heat, stirring occasionally, for 3-5 minutes, until the flavors have melded.
Let the orange-chili mixture cool slightly, then whisk it into the egg yolk mixture. Cook over a double boiler, stirring constantly, until the mixture thickens.
Once the mixture has cooled, gently fold in the whipped cream. Be careful not to deflate the cream.
Pour the mixture into a container and freeze for at least 4 hours, or until the parfait is firm.
Before serving, garnish the parfait with a strip of orange zest or a sprinkle of grated dark chocolate.
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