In a medium saucepan, whisk together the egg yolks and sugar until smooth and well combined.

Whisk in the milk and cook the mixture over medium heat, stirring constantly, until it reaches a gentle boil. Let it boil for 1 minute, then remove from heat.

Cool the mixture slightly, then cover it tightly and refrigerate for 1 hour until completely chilled.

In a medium bowl, beat the heavy cream and vanilla extract with an electric mixer until stiff peaks form. Set aside.

Take the egg yolk mixture out of the fridge. Add the mascarpone cheese and whisk until the mixture is smooth and creamy.

In a small bowl, mix the coffee and rum together. Split the ladyfingers in half lengthwise and drizzle the coffee mixture over both sides.

Arrange half of the soaked ladyfingers in the bottom of a 7x11-inch baking dish. Spread half of the mascarpone mixture over them, followed by half of the whipped cream.

Repeat the layers with the remaining ladyfingers, mascarpone mixture, and whipped cream.

Finish the top with a light dusting of cocoa powder.

Cover the dish and refrigerate for 4-6 hours, or overnight, to allow the flavors to meld beautifully.

Slice, serve chilled, and enjoy!