In a medium saucepan, whisk together egg yolks and sugar until pale and thick.
Gradually add warm milk (about 1/2 cup) to the egg mixture, whisking constantly to temper the eggs.
Pour the mixture back into the saucepan and cook over low heat, stirring constantly, until it thickens enough to coat the back of a spoon (about 8–10 minutes).
Remove from heat and stir in heavy cream, vanilla, nutmeg, and salt. Let cool slightly.
In a separate clean bowl, beat egg whites with an electric mixer until stiff peaks form.
Fold the beaten egg whites into the cooled custard mixture until fully incorporated.
Stir in rum and brandy. Cover and refrigerate for at least 1 hour or up to 2 days for flavors to meld.
Serve chilled, garnished with a sprinkle of nutmeg on top.
Notes
For best results, chill thoroughly before serving. Add more alcohol if desired.