In a large bowl, beat together the egg yolks. Slowly add the granulated sugar, then the mascarpone cheese until light and thoroughly combined.
In a medium bowl, beat together the egg whites until stiff peaks form. Gently fold into the yolks and mascarpone.
In the bowl used for the egg whites, beat the cream into soft peaks. Fold into the eggs and mascarpone.
Set aside a 9x5 inch loaf pan and completely line the inside with a large piece of plastic wrap with the edges hanging over the sides of the pan.
Whisk the brandy into the espresso. Briefly dip a cookie into the brandy espresso and place in the bottom of the prepared pan. Repeat with more cookies until you have a single layer of cookies side by side. Cut some of the cookies if needed to make sure all the space is covered.
Cover the layer of cookies with half of the egg mascarpone mixture. Cover evenly with half of the cocoa powder.
Repeat dipping the cookies and arranging in a single layer over the cocoa powder. Cover with remaining egg mascarpone. Top with remaining cocoa powder and the shaved dark chocolate. Tap the filled pan on the counter a few times to remove air bubbles. Cover in a few layers of plastic wrap and place in freezer until well chilled, 4 hours to overnight.
Remove the semifreddo from the pan using the plastic wrap. Slice and serve immediately with whipped cream and more shaved chocolate.