Instructions:
1. In a heatproof bowl, whisk together the egg yolks and sugar until well combined.
2. Place the bowl over a saucepan of simmering water, making sure the bottom of the bowl doesn’t touch the water. Cook the egg yolk mixture, whisking constantly, until it becomes thick and pale yellow in color. This should take about 8-10 minutes.
3. Remove the bowl from the heat and whisk in the milk. Allow the mixture to cool completely.
4. In a separate bowl, beat the heavy cream until stiff peaks form.
5. In another bowl, whisk the mascarpone cheese until smooth. Then, fold in the cooled egg yolk mixture and vanilla extract. Gently fold in the whipped cream until well combined.
6. In a shallow dish, combine the coffee and rum or coffee liqueur (if using). Dip each ladyfinger into the coffee mixture for a few seconds, making sure not to soak them for too long, as they can become too soggy.
7. Arrange half of the soaked ladyfingers in a single layer in the bottom of a 9×9-inch dish or individual serving glasses.
8. Spread half of the mascarpone mixture over the ladyfingers, smoothing it out with a spatula.