Heat milk and water with peelings from lemon and vanilla to just below a simmer and stir in rice. Simmer uncovered for 10 minutes, stirring occasionally. Remove lemon peel. Add the currants, almonds and sugar and simmer 5 to 10 minutes more, testing rice for doneness. Remove from heat and stir in egg yolk. Spoon into a baking dish.
Preheat oven to 400° F. Combine brown sugar and cinnamon and sprinkle over rice pudding. Bake for 10 to 12 minutes until brown sugar melts on top of pudding. Serve immediately.