Combine the coconut milk and sugar in a saucepan and cook over medium heat until just beginning to boil then take off the heat.
Beat the egg yolks with the vanilla in a medium bowl. Beat in 125ml of the coconut milk mixture into the egg yolks.
Whisk the egg yolk mixture into the rest of the coconut milk mixture. Stirring mixture constantly, cook over low heat until mixture thickens - till it is thick enough to coat the back of a spoon. DO NOT BOIL.
Strain the mixture into a bowl. Stir in the rum and then let it cool to room temperature. Place cling film on the surface and refrigerate until well chilled. Once chilled, serve with nutmeg sprinkled on top.
Very yummy. Used coconut cream instead of coconut milk. We had to double the rum to get the flavour (we used a flavoured spirit rather than true rum). we also put half of the mixed into our ice cream maker and now have a very tasty coconut rum dairy free ice cream - 23 Dec 2012