To make the creme anglaise, mix the egg yolks and sugar in a bowl and whisk together until smooth. Put the milk into a saucepan and bring to a simmer.
Remove from the heat and gradually add the egg mixture. Return the mixture to a low heat. Gently stir from side to side with a wooden spoon until it begins to thicken, be careful not to overheat as it will curdle.
To test it is done, draw your fingers across a coated wooden spoon and if the channel stays clear and does not drip the mixture is ready.
Allow to cool. Pour the cream in then slowly add the rum and whiskey to taste.
Beat the egg whites and fold in to the mixture just before serving. Add grated nutmeg.