In a medium saucepan whisk together the cornstarch and the sugar. Slowly add the cans of coconut milk until dry and wet are combined.
Turn heat to low-medium and whisk. Make sure you whisk from bottom of pot.
Watch pudding closely for it can burn on the bottom easily.
Mixture will start to thicken in about 5 minutes.
In a small bowl, whisk egg yolk.
Add a little bit of the hot pudding to the egg yolk and stir.
Add a little bit of the hot pudding to the egg yolk and stir. You do this so that when you add the egg yolk to the saucepan, the egg will not curdle.
Add warmed egg yolk to the saucepan, and whisk for a minute til pudding is much thicker.
Remove from heat and add 1 tsp vanilla.