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 comes to a gentle boil.

Boil for 1 minute, remove from heat and allow to cool slightly. Cover and chill in refrigerator for 1 hour.

In a large bowl, beat mascarpone cheese until smooth. Fold in the chilled egg mixture.

In a separate bowl, whip heavy cream and vanilla extract until stiff peaks form.

Gently fold the whipped cream into the mascarpone mixture until fully incorporated.

Combine espresso and rum in a shallow dish.

Quickly dip ladyfingers into the espresso mixture without soaking and arrange in a single layer in a 9x13 inch baking dish.

Spread half of the mascarpone cream over the ladyfinger layer.

Repeat with a second layer of dipped ladyfingers and remaining cream mixture.

Cover and refrigerate for at least 4 hours to allow flavors to meld.

Dust the top with cocoa powder immediately before serving.