Step 1

In a medium saucepan, whisk together egg yolks and sugar until well blended. Whisk in milk and cook over medium heat, stirring constantly, until mixture boils. Boil gently for 1 minute, remove from heat and allow to cool slightly. Cover tightly and chill in refrigerator 1 hour.

Step 2

In a medium bowl, beat cream with vanilla until stiff peaks form.

Step 3

Whisk mascarpone into yolk mixture until smooth.

Step 4

In a small bowl, combine coffee and rum. Split ladyfingers in half lengthwise and drizzle with coffee mixture.

Step 5

Arrange half of soaked ladyfingers in bottom of a 7x11 inch dish. Spread half of mascarpone mixture over ladyfingers, then half of whipped cream over that. Repeat layers and sprinkle with cocoa. Cover and refrigerate 4 to 6 hours, until set.