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 place in refrigerator for 20 minutes to cool.

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. Place ladyfingers on a plate and drizzle coffee mixture over until ladyfingers soak up all the coffee.

Step 5

Arrange half of soaked ladyfingers in bottom of a 8x8-inch or comparable size pan (breaking some in half if necessary to cover entire bottom). Spread half of mascarpone mixture over ladyfingers, then half of whipped cream over that. Repeat layers one more time.

Step 6

Cover and refrigerate 24 to 48 hours.

Step 7

Just before cutting to serve, sprinkle top with cocoa powder.