Soak the raisins in the rum for one hour.
In a large bowl, gently mix the flour, sugar, salt, and vanilla sugar.
Activate the yeast with some warm milk and one teaspoon of sugar. Let it rest for 5-10 minutes.
Combine the dried ingredients with the rest of the warm milk, oil, lemon zest, egg yolks, and yeast mixture, and mix gently.
Transfer the dough to a flat surface and knead for at least 10 minutes. Transfer back to the bowl, cover, and let rise to double its size, around 1-2 hours.
Remove the excess rum from the raisins and add them to the dough together with some melted butter.
When the dough has doubled in size, put it on a flat surface and knead for 10 more minutes.
Divide the dough into equal parts, as many as you want, roll them to form a ball and transfer to an baking pan lined with baking paper. Leave for one hour to double in size. Then, using a knife, finely cut the top in the shape if a cross. Brush with egg yolk, but avoid brushing over the cut cross.
Preheat the oven to 320°F and bake for about 25-35 minutes until golden. Let them cool before serving!