Prepare your Mascarpone and lady fingers in advance of making this recipe.
In a saucepan over medium heat, whisk together the egg yolks, sugar alternative, and milk. Switch from the whisk to a spoon and stir this until it begins to boil. Once it boils, turn the heat down and simmer for another minute, stirring constantly to prevent lumping/sticking etc. Remove from heat and allow this to sit out in room temperature for 5-10 minutes to cool and then cover and place in the refrigerator for at least a couple of hours.
When ready to put this dessert together, whisk half of the espresso coffee and the rum (or vanilla) into the egg mixture that you previously made in the last step.
With the remaining coffee, dip each lady finger into the coffee and then place it into the dish that you will be making this in (9X12 works great for example for two layer dessert). If making this in layers then only dip half of the lady fingers at this time. Tip: avoid over-soaking the lady fingers by dipping only the bottom or top side before placing it into the dish.
Scoop some of the egg mixture over the lady fingers that are in the dish for the next layer. You can sprinkle some of the shaved chocolate over this layer. Then repeat your layers until the ingredients have been used up.
Sprinkle chocolate shavings over the top, cover and refrigerate until ready to serve.