Scald cream in the top of a double saucepan. Combine egg yolks, sugar, salt and freshly grated nutmeg, and stir into the scalded cream. Cook, stirring constantly, over water until the mixture coats a spoon.
Soften gelatine in water; add to custard mixture and stir until dissolved. Add rum, brandy and vanilla extract; strain custard into a glass bowl and chill until mixture begins to set