In a small bowl beat egg yolk and rum together. Pour it over the mixture and mix well with your hands. You can add a little water if necessary to have a dense dough.
With your hands form small balls from the dough with the size of a walnut. Place on a parchment-lined cookie sheet. Make a depression in each ball with the handle of a wooden spoon, a chopstick, or your finger.
Preheat the oven to 330° degrees
Place a baking paper at the bottom of a baking dish and arrange the balls on top. Press each ball with your finger on top.
Place them in the oven and bake for 20 minutes.
Remove them from oven and use a spoon create a hole in the center and add a bit of jam.