For the speculaas parfait, first beat egg whites and sugar until stiff peaks form. Whip the cream until creamy (not too stiff). Crumble the speculaas (it is best to put them in a freezer bag and beat them to crumbs with a meat tenderizer).
Mix rum and water with the marzipan. Cream together with powdered sugar, vanilla sugar and egg yolk. Fold in whipped cream, beaten egg white and cookie crumbs.
Pour the speculaas parfait in portions into ramekins or use a terrine mold and cut off slices before serving. Alternatively, simply pour the mixture into a bowl and cut out balls. Freeze for several hours.