Preheat the oven to 180C/350F/Gas 4.
Make two long incisions though the skin along each length of the banana and open up slightly. Push the chocolate pieces inside. Place the bananas in an ovenproof frying pan, pour over the rum and transfer to the oven to bake for 5-7 minutes, until golden.
Serve the bananas with a scoop of ice cream each on top.