Place the egg yolk, the caster sugar and the vanilla extract in a bowl and whisk to a creamy consistency.
Add the mascarpone cheese and the cream, and continue to whisk until you have a smooth, creamy mixture.
In a shallow dish, mix together the strong black coffee and the brandy. Line up six glasses for serving. Dip two or three pieces of the boudoir biscuits in the coffee and brandy -- you want the biscuits to absorb the liquid, but not so much that they fall apart. Put two or three soaked bits of boudoir biscuit in the bottom of each serving glass.
Next, add a tablespoon of the mascarpone cheese and cream mixture to each glass to cover the boudoir biscuit pieces. Follow with another layer of three pieces of boudoir biscuit that you have dipped in the coffee and brandy mixture. Finish off by topping each of the six serving glasses with another layer of the mascarpone cheese and cream mixture. Dust each glass with cocoa powder and place in the fridge to chill for an hour, but they can sit for up to 24 hours.
Dust with a little more cocoa powder to serve. Take them out of the fridge at least 10 minutes before serving, so they are not too chilled.