In a medium, heavy saucepan, bring the cream and milk to a simmer over medium-high heat.
In a large bowl, whisk egg yolks, sugar, and vanilla to blend well. Gradually whisk in the hot cream mixture. Return mixture to the same saucepan and cook, stirring constantly, over medium-low heat for 15 mins, or until mixture thickens slightly and thinly coats the back of a spoon (do not boil).
Pour the custard into a bowl. Set bowl over a larger bowl of iced water to cool the custard quickly, stirring often, for about 8 mins. Cover and refrigerate until cold.
Mix brandy and rum into the custard mixture. Ladle into cups, sprinkle with nutmeg, and serve.
