Make the Custard:
In a saucepan, whisk together egg yolks and sugar until light. Stir in milk and cook over medium heat, stirring constantly, until the mixture reaches a gentle boil. Boil for 1 minute, remove from heat, and refrigerate for 1 hour.

Whip the Cream:
In a bowl, beat the heavy cream with vanilla extract until stiff peaks form.

Mix Custard and Mascarpone:
Remove the chilled custard from the fridge and fold in the mascarpone cheese until smooth.

Combine Coffee and Rum:
In a shallow bowl, mix cooled coffee and rum.

Assemble the Layers:
Quickly dip each ladyfinger into the coffee mixture and arrange half in a 7×11-inch dish. Spread half of the mascarpone mixture on top, then half the whipped cream. Repeat layers.

Dust and Chill:
Sift cocoa powder over the top layer. Cover and refrigerate for at least 4–6 hours, or overnight.