Add water, cinnamon, cloves and anise into saucepan and boil until reduced to 1/2 cup. Allow to cool slightly and strain.
Combine milks and egg yolks in a heavy bottom stock pot and heat gently while whisking. Add spiced water and continue heating gently to just below a boil – but do not allow to boil.
Remove from heat and add vanilla and rum.
Funnel into a clean glass bottle and refrigerate.
Serve well chilled in a small glass with a sprinkling of ground cinnamon or nutmeg.