Add the egg yolks and sugar in a medium saucepan and with awire whisk, beat until well blended.
Add in the milk and beat until well combined.
Place the saucepan over medium heat and bring to a boil,stirring continuously.
Cook for about 1 minute, stirring continuously.
Remove the saucepan of milk mixture from heat and set aside tocool slightly.
Transfer the mixture into a bowl.
Cover the bowl tightly and refrigerate for about 1 hour.
Place the heavy cream and vanilla extract in a medium bowl andbeat until stiff peaks form.
In the bowl of milk mixture, add the mascarpone cheese and beatuntil smooth.
In a small bowl, blend together the coffee and rum.
Split each ladyfinger cookie in half lengthwise and place intoa large bowl.
Drizzle the ladyfinger cookies with coffee mixture evenly.
In the bottom of a 7x11-inch baking dish, arrange half of theladyfinger cookies evenly.
Place half of the mascarpone mixture over ladyfinger cookiesevenly, followed by half of whipped cream.
Repeat the layers once and sprinkle the top with cocoa powderevenly.
With plastic wrap, cover the baking dish and refrigerate forabout 4-6 hours or until set before serving.