Place the egg yolks and sugar in the top of a double boiler (or use a heatproof bowl on top of a pot with 1" of gently simmering water) and stir with a whisk for 10 minutes, or until the sugar has mostly dissolved and the mixture is warm.
Remove from the heat and beat with an electric mixer until pale in colour and the mixture forms thick ribbons when you lift the beaters. Beat in the vanilla extract and the mascarpone.
Whip the cream until stiff peaks are just beginning to form. Whip in the egg and mascarpone mixture until combined. The cream should hold peaks when you lift the beaters. Pipe into your brandy snaps. Or straight into your mouth.
Leftover cream will keep well for several days in a sealed container the fridge.
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