Remove the seeds from the vanilla pod.
Juice the oranges and add the juice to the cognac. Bring this to the boil with the brown sugar. Add the prunes, the vanilla seeds and pod and the cinnamon stick. Reduce the heat to a simmer and cook the prunes for 10 minutes. Remove from the heat and keep to one side.
Split the vanilla pod and scrape out the seeds. Zest the orange and the lemon.
Soak the sultanas in the Marsala wine for 10 minutes.
Bring the milk and double cream to the boil. Add the rice, vanilla, sugar, grated nutmeg, sultanas and Marsala. Reduce the heat to a simmer and finally add the orange and lemon zest.
Cook the rice pudding for about 40 minutes, stirring occasionally to make sure it is not catching to the bottom of the saucepan.
The rice is cooked when the rice is soft and most of the liquid has been absorbed.
The rice pudding should be liquid so add a splash more milk if necessary.
To serve: Spoon the rice pudding into a bowl and serve the prunes on top with a generous drizzle of the prune cooking liquor.
«Serve this dessert with fresh seasonal fruit such as plums or cherries. When poaching the fruit, add them to the hot liquid, remove from the heat and allow them to cook very gently.»