Combine egg yolks and sugar in the top of a double boiler or bowl over boiling water. Reduce heat to low and cook for about 10 minutes, stirring constantly. Remove from heat and whip yolks until thick and lemon-coloured.
Add mascarpone to whipped yolks. Beat until combined.
In a separate bowl, whip cream to stiff peaks. Gently fold into yolk mixture and set aside.
Split the lady fingers in half and line the bottom and sides of a large glass bowl. Brush with coffee liqueur. Spoon half of the mascarpone filling over the lady fingers.
Repeat ladyfingers, coffee liqueur and filling layers. Decorate with cocoa and chocolate curls. Refrigerate for several hours or overnight.
To make the chocolate curls, use a vegetable peeler and run it down the edge of the chocolate.