In a large pan, combine the oil, onion, bell peppers and jalapeños. Stir often over high heat until onion has softened, 3 to 4 minutes. Add the corn, beans, chiles, milk and cumin. Bring to a boil; reduce the heat, cover and simmer, stirring occasionally to blend flavors, about 10 minutes. Stir in the chicken. Season with salt and pepper.
When ready to serve, stir in the cheddar cheese and serve immediately.