In a saucepan, combine cornstarch, salt, and sugar. Stir in egg yolk. Gradually stir in milk until well combined. Turn to medium heat and bring to a boil, stirring constantly, for 2 minutes. Reduce heat and cook until a pudding-like consistency forms, 1–3 minutes more.

Remove pan from heat and stir in vanilla and rum. Cool slightly, and then place plastic wrap directly on top of pudding (this keeps it from forming a film). Refrigerate for a few hours until cold. (If pudding becomes too stiff, whirl in a food processor until smooth.)

Once cold, alternate pudding with bananas into four 2-ounce shot glasses, ending with pudding. Sprinkle with almonds.