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Gather the ingredients.
Whisk egg yolks and sugar together in a medium saucepan until well blended.
Whisk in milk and cook over medium heat, stirring constantly, until mixture comes to a boil.
Boil gently for 1 minute, then remove from the heat and allow to cool slightly.
Cover tightly and chill in the refrigerator for 1 hour.
Beat cream and vanilla in a medium bowl with an electric mixer until stiff peaks form.
Remove egg yolk mixture from the refrigerator; add mascarpone cheese and whisk until smooth.
Combine coffee and rum in a small bowl. Split ladyfingers in half lengthwise and drizzle with the coffee mixture. Arrange ½ of the soaked ladyfingers in the bottom of a 7x11-inch dish.
Spread ½ of the mascarpone mixture over the ladyfingers, then spread ½ of the whipped cream over top. Repeat layers once more.
Sprinkle cocoa powder over top.
Cover and refrigerate until set, 4 to 6 hours.