Mix the cookies with a blender to a fine powder, add powdered sugar, cocoa, rum and, finally, milk. Pour the milk in gradually to get a compact sticky mass.
Beat the butter with the mascarpone and powdered sugar until foamy. At the end, add the shredded coconut and whip for a short time.
Roll out the cookie dough with the baking paper on top (or use food foil) into a thin sheet, apply the coconut cream and carefully roll it up using the baking paper or food foil.
Roll in coconut. Put in the fridge to harden, cut into slices and serve.
