Combine the coconut milk and sugar in a saucepan and scald (heat but stop just short of boiling) over medium heat.
Beat the egg yolks with the vanilla. Beat in 125ml of the scalded mixture into the egg yolks. Whisk the egg yolk mixture into the scalded mixture. Stirring mixture constantly, cook over low heat until mixture reaches a temperature of 70 C. The mixture should be thick enough to coat the back of a spoon. DO NOT BOIL.
Sieve the mixture into a bowl. Stir in the rum and let cool to room temperature. Place cling film on the surface and refrigerate until well chilled. Once chilled, serve with nutmeg sprinkled on top.