Heat milk and water with peelings from lemon and vanilla to just below a simmer and stir in rice. Simmer uncovered for 15 minutes, stirring occasionally. Remove lemon peels. Add the currants, almonds and sugar and simmer 10 to 15 minutes more, testing rice for doneness. Remove from heat, let cool for 15 minutes then stir in egg yolk. Spoon into a serving bowl and sprinkle with cinnamon. Rice pudding will set further as it cools. It can be served warm or chilled.