In a large mixing bowl, pour in the very cold heavy cream. Use an electric mixer on medium-high speed to whip the cream until stiff peaks form, which should take about 3-5 minutes.

In another bowl, whisk together the egg yolks and powdered sugar until the mixture becomes pale and creamy, taking approximately 2 minutes.

Carefully fold in the room-temperature mascarpone cheese into the egg yolk mixture.

Gently fold the whipped cream into the mascarpone mixture until no streaks remain.

In a shallow bowl, mix together the coffee, rum extract, and eggnog. Allow the mixture to cool slightly.

Quickly dip each gingerbread cookie into the coffee mixture and layer them evenly in a 9x9 inch baking dish.

Spread a generous layer of the mascarpone filling over the dipped gingerbread cookies. Repeat with another layer of cookies and top off with remaining filling.

Dust the top generously with cocoa powder and crushed gingerbread cookies. Cover and refrigerate for at least 1.5 hours.