In a large mixing bowl, whip very cold heavy cream on medium-high speed until stiff peaks form, about 3–5 minutes.

In another bowl, whisk together the egg yolks and powdered sugar until the mixture becomes pale and creamy, about 2 minutes.

Fold room-temperature mascarpone cheese into the whipped egg yolk mixture until smooth.

Gently fold the whipped cream into the mascarpone mixture until no streaks remain.

In a shallow bowl, combine fresh hot coffee with rum extract and eggnog, cooling slightly.

Quickly dip each gingerbread cookie into the coffee mixture and place them in a 9x9-inch baking dish flat.

Spread a generous layer of the creamy mascarpone filling over the cookies, alternating layers until all components are used.

Dust the top layer with cocoa powder and crushed gingerbread cookies, cover tightly, and refrigerate for at least 1.5 hours.