In a medium saucepan, whisk together the egg yolks and sugar until well blended.

Whisk in milk and cook over medium.

Stir constantly until boiling.

Boil gently for 1 minute, remove from heat and cool slightly.

Cover tightly and chill for 1 hour.

In a different bowl, beat cream and vanilla until stiff peaks form.

Pull custard out of fridge and whisk mascarpone into yolk mixture until smooth.

Put coffee in a small bowl.

Dip each ladyfinger into the coffee until soaked.

Arrange half of the lady fingers on the bottom of a 9x13 pan.

Spread half of the mascarpone mixture next, then half of the whipped cream.

Repeat layers.

Sprinkle with cocoa.

Cover and refrigerate overnight.