Beat on high speed in a medium heatproof bowl until thick and pale yellow, about 2 minutes, the egg yolks and the sugar. Whisk in marsala and water. Set the bowl in a skillet of barely simmering water and whisk or beat on low spped until the mixture reaches 160 degrees. Remove the bowl from the water and let cool for about 15 minutes.
Combine in a bowl and beat until soft peaks form the mascarpone, heavy cream and 2 tsp vanilla. Fold in the cooled egg yolk mixture.
Combine in a shallow dish the coffee, rum and sugar.
Dip half of the ladyfingers into the expresso mixture and arrange in a 2-3 quart serving bowl, leaving a little space between them. Spread with half of the mascarpone filling over and between. Sprinkle with half of the grated chocolate. Dip the remaining ladyfingers in the coffe and arrange on top. Spread the remaining filling over and between them and sprinkle with the remaining chocolate. Sift over the top the cocoa.
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