I don't wanna sound controversial but:

6 large egg yolks

3/4 cup white sugar

2/3 cup milk

1 1/4 cups heavy cream

1/2 teaspoon vanilla extract

1 pound mascarpone cheese, at room temperature

1/4 cup strong brewed coffee, at room temperature

2 tablespoons rum

2 (3 ounce) packages ladyfinger cookies

1 tablespoon unsweetened cocoa powder