Cover the coconut flakes with the warm milk and allow to swell. Soak the gelatine in the water for 5 minutes.
Mix Cream of Coconut with rum. Beat eggs, sugar and lemon zest until creamy.
Fold the soaked coconut flakes and the coconut-rum mixture into the cream. Dissolve the gelatine and stir into the cream. Whip the cream until stiff and fold it in (first check whether the cream is already somewhat firm due to the gelatine!) Chill the whole thing in the refrigerator for at least 3 hours.
