Beat the yolks and the sugar together in an electric mixer until thick and pale, adding a splash or two of the marsala as you go. Whip the cream to firm peaks.
In a separate bowl, briefly whip the mascarpone to stiffen it. Mix the sweetened yolks and the cream and mascarpone together. Whip this mixture for a minute or two to make sure it is at the firm peak stage. Splash some rum or brandy into the hot coffee.One at a time, dip the biscuits sugar side down and only halfway up into the coffee.
Line the dish with the biscuits as you dunk them, wet side down. Fill the lined dish with the cream mixture. Cover the filling with more dunked biscuits, wet side up, and dust the top generously with cocoa powder.Chill the tiramisu overnight. Serve with coffee in the morning, Vin Santo in the afternoon or Carpene Malvolti brandy in the evening.