Separate yolks and egg whites. Whip the egg whites to a beaten egg white, mix the yolks with the powdered sugar until creamy and add the mascarpone. Fold in the beaten egg whites. Stir in the coffee and rum and briefly soak the biscuits in it. Place the biscuits and mascarpone mixture alternately in a mold.
Refrigerate for several hours and sprinkle with cocoa before serving.