Combine milk, 1/2 teaspoon vanilla extract, cinnamon, and cloves in a large saucepan over low heat; stir and heat for 5 minutes. Increase the heat to medium-low; Gradually bring to a boil. Remove from the heat.
Whisk egg yolks in a large bowl until they turn light yellow. Add sugar; whisk until light and fluffy.
Pour some of the hot milk mixture into egg yolk mixture; whisk quickly to avoid scrambling eggs. Continue adding hot milk and whisking until all milk is incorporated.
Pour mixture back into the saucepan. Cook over medium heat, stirring constantly, until thick, about 3 minutes; do not boil.
Strain; let cool for 1 hour. Stir in cream, rum, remaining 2 teaspoons vanilla extract, and nutmeg. Refrigerate 8 hours to overnight before serving.
