Add the raisins to a small bowl and pour the rum over them. Let the raisins soak up the rum and plump up while preparing everything else.
In another bowl add the yeast and warm water, stir it a bit and let it sit for 10 to 15 minutes to activate. The yeast should bubble up. If you don't see it bubble up, then the yeast is old. Do not proceed because your bread will not rise.
In a sauce pan add the milk, butter, lemon zest and sugar. Heat it over medium-low heat just until the butter melts and the sugar is dissolved. Do not boil it, it just needs to be hot. If it gets too hot it can kill the yeast.
Drain the raisins. To the bowl of your mixer add the flour, the 5 egg yolks, vanilla extract, the milk mixture, yeast mixture and raisins. Using the dough hook mix everything for about 5 minutes until everything is well blended together and the dough should come off the sides of the bowl. The dough will be a softer dough and somewhat sticky to your hands. The more you mix the dough the fluffier it will be.
Take a large bowl and oil it with about 1 tbsp of the vegetable oil. Place the dough in the bowl and use the other tbsp of vegetable oil to rub over the dough. Cover the bowl with plastic wrap and place in a warm, draft free environment. Let the dough rise until it doubles in size, could take 1 to 2 hours.
Great 3 loaf pans with oil or butter. My loaf pans are 12 x 4.5 x 3 inches, but the regular smaller loaf pans work just as well.
Once the dough has doubled in size, divide it in 3 equal pieces. On a big surface where you can work the dough, oil the surface, we will not use flour here, I find that oil works better. Take one piece and roll it out using a rolling pin, into a rectangle that's about 1/2 inch in thickness and the width of your loaf pans. Spread about 1/3 of the nut mixture over the dough. then roll it up jelly style. Place the roll in the prepared loaf pan. Repeat with remaining dough pieces.
Cover the loaf pans with a clean damp kitchen towel, place in a warm, draft free environment and let the loaves rest until doubled in size.
Preheat the oven to 350 F degrees.
Place the loaves in the oven and bake for 35 to 45 minutes or until the loaves are golden brown. To test if they are done inside, insert a toothpick into the center and if it comes out clean the loaves are done.
Let the loaves cool for about 10 minutes in the loaf pans. Run a knife around the edges of the loaves, to make sure they didn't stick, then remove the loaves from the loaf pans, transfer them to a wire rack and let them cool completely before slicing into them and serving.