Prepare the custard: In a medium bowl, whisk egg yolks and sugar until pale and thick, about 5 minutes.

Heat milk in a saucepan until just simmering. Slowly pour the hot milk into the egg mixture while whisking constantly.

Return the mixture to the saucepan. Cook over low heat, stirring constantly, until thickened (about 5-7 minutes). Remove from heat and let cool completely.

In a separate bowl, whip the heavy cream to stiff peaks. Gently fold the whipped cream into the cooled custard mixture.

Add the mascarpone cheese to the custard mixture and fold gently until smooth and well combined.

Mix the cooled coffee with rum or liqueur (if using). Quickly dip each ladyfinger into the coffee mixture (about 1 second per side).

Arrange a layer of soaked ladyfingers in the bottom of an 8x8 inch dish. Spread half of the mascarpone mixture over the ladyfingers.

Repeat with another layer of soaked ladyfingers and the remaining mascarpone mixture. Smooth the top.

Cover and refrigerate for at least 6 hours, preferably overnight. Before serving, dust the top with cocoa powder.