Combine the egg yolks, sugar, and rum in a medium bowl and beat with an electric mixer until thick and pale, about 2 minutes. Set the bowl over simmering water (or pour the mixture into the top of a double boiler) and beat with an electric mixer until the mixture has thickened, about 15 minutes. Remove from heat, continue to beat until cool to the touch, and then set aside.
Whip the cream until stiff peaks form and reserve.
Place the mascarpone in a large bowl and stir gently. Gradually stir the egg mixture into the mascarpone. Fold in the whipped cream.
Combine the coffee and Marsala in a shallow bowl. Dip 1 piece of cake at a time in the coffee mixture and then transfer to a large glass bowl, lining the entire bottom and arranging the pieces slightly up the sides. Spread half of the mascarpone mixture evenly over the cake. Sift 1 tablespoon cocoa powder over the mascarpone. Make another layer in the same manner with the remaining cake, mascarpone mixture, and cocoa. Chill the tiramisu, covered, for at least 6 hours, or preferably overnight.
Makes 12 to 14 servings