In a spacious mixing bowl, pour in the heavy cream and beat it with an electric mixer on medium-high speed until stiff peaks form, about 3–5 minutes.

In another large bowl, whisk together the egg yolks and powdered sugar until pale yellow and creamy, about 4 minutes.

Add the mascarpone cheese to the egg mixture and gently mix until free of lumps, taking about 2–3 minutes.

Fold the whipped cream into the mascarpone mixture gently, ensuring a harmonious blend.

In a shallow bowl, mix together the hot coffee, rum extract, and eggnog until well combined. Allow to cool slightly.

Quickly dip each gingerbread cookie into the coffee mixture, arranging them in a single layer in a 9x9 baking dish.

Layer dipped gingerbread cookies with the mascarpone filling until all ingredients are used, finishing with a creamy layer on top.

Dust cocoa powder over the top layer, cover with plastic wrap, and refrigerate for at least 1.5 hours before serving.