Step 1

Whisk together egg yolks and sugar in a saucepan.

Step 2

Turn the stove to medium heat and add in the milk. Whisk continuously until the mixture boils. Boil and whisk for another minute and remove from heat. Allow mixture to cool slightly.

Step 3

Cover and refrigerate for 1 hour.

Step 4

Meanwhile, whip the cream. Beat together whipping cream and vanilla with an electric mixer until stiff peaks form. Cover and refrigerate.

Step 5

Remove the egg yolk-milk mixture from the fridge and gently fold in the mascarpone cheese until combined.

Step 6

Whisk together coffee and rum in a shallow bowl. Dip both sides of the ladyfingers in the mixture. Arrange half of them in the bottom of a 7x11-inch glass dish.

Step 7

Spread half of the mascarpone mixture evenly over the ladyfingers, followed by half of the whipped cream. Repeat layering the remaining ladyfingers, mascarpone, and cream. Dust with cocoa powder on top.

Step 8

Cover the dish with plastic wrap and refrigerate for 4 to 6 hours. Slice, serve, and enjoy!