Pour the cold water into a small bowl and sprinkle with the gelatin. Set aside and allow the gelatin to soften.
Combine the egg yolks and sugar in a heat-proof mixing bowl. Beat with a hand mixer or a whisk until the mixture is thick and lemon-colored. Set the bowl over a pot of simmering water on the stove and cook, stirring constantly, about 5 minutes. The mixture should feel hot to the touch and have reached 145 degrees F (63 degrees C) on an instant-read thermometer.
Remove the bowl from the heat and mix in the rehydrated gelatin. Stir until the gelatin dissolves and allow the mixture to cool to room temperature.
Whip the cream to medium-stiff peaks; stir in the rum. Fold the whipped cream into the egg mixture. Pour the filling into the two pie shells and sprinkle with chocolate shavings. Chill the pies for at least 6 hours or overnight.