Combine the rice, milk, sugar, vanilla bean, cinnamon, and salt in a large heavy-bottomed saucepan over medium-high heat and stir to combine.
Bring mixture to a boil, stirring constantly.
Reduce the heat to medium-low and simmer, stirring every 5 minutes as the mixture starts to thicken, for about 30 minutes.
Continue cooking until the rice is tender but not too mushy, about 15 minutes longer. The milk will be thick and the rice tender, but the mixture will still be a little soupy, which is what you want. (As pudding cools, it thickens, and if it is too thick while still hot, it will firm up into a thick stodgy lump without the unctuous creaminess of a great rice pudding).
In a bowl, whisk the egg yolks and cream together and stir into the rice pudding.
Continue cooking the pudding over medium-low heat for 2-3 minutes, until the eggs are cooked through and pudding is creamy and glossy, but still fairly soupy.
Remove from the heat and stir in the vanilla. Grate a little nutmeg (if using) into the pudding.
Remove the vanilla bean.
Pour the pudding into a serving bowl and press plastic wrap over the surface to prevent a skin from forming.
Refrigerate until cold, at least 2-3 hours.
Note: This pudding is delicious as it is, or you can fold a dollop of whipped cream into each serving, or layer the pudding in a parfait glass with dulce de leche or caramel sauce, or just drizzle some sauce on top before serving.