In a large bowl, use either a whisk or an electric mixer to beat together the egg yolks and the first half of the sugar. This will take about 4 minutes, you want the yolks to double in size and noticeably lighten to a light yellow. You should be able to see a ribbon of the mixture fall from the whisk when it is ready.
In another bowl, whisk together the heavy cream and the rest of the sugar until it is fully whipped and stiff peaks form. This will take about 5 minutes. Gently fold in the ricotta until it is combined.
Add the ricotta cream to the egg yolk mixture and fold again to form a smooth cream. Put this in the fridge to chill.
Whisk together the espresso and rum.
In either individual cups or an 8x5" baking sheet, spread a layer of the cream. Then dip the cookies into the espresso and rum mixture, and layer them on top of the cream. Repeat this process forming 4 layers, with the cream on top.
Sift cocoa powder over the top, and let this chill in the fridge for 6-12 hours.
Serve chilled!