To make the custard, bring the milk to the simmering point in a small saucepan. Remove from the heat and add the vanilla essence.
Place the egg yolks and the sugar in a bowl and whisk together.
Pour the milk into the bowl of the yolks, whisking steadily. Once mixed together well, return the mixture to the saucepan. Stir over a gentle heat until the mixture has thickened and coats the back of a spoon.
Add the apple, sultanas, rum and nutmeg and simmer for three minutes.
To serve, pour the custard into a warm bowl.