Put the milk, double cream and sugar in a pan; bring to the boil.
Put the gelatine to soften in cold water.
Place 20g of bitter orange marmalade on the bottom of each glass (glass size: 220/250ml).
After the mixture has boiled remove from the heat, squeeze the gelatine and add to the mixture.
Add the Grand Marnier.
Pour into a jug and allow the mixture to cool down without letting it harden.
At this point pour 150ml of mixture into each glass.
Put the glasses in the fridge to set.
Before serving pour an espresso on each dessert.