Preheat the oven to 130°C fan (260°F/gas 2).
Combine the cream, milk and vanilla pod in a saucepan over a medium heat. Warm until ‘shimmering’ and a few bubbles are beginning to break on the surface. Scrape out the seeds from the vanilla pod into the custard, then discard the pod or use it to make vanilla extract.
Whisk the eggs and yolks together in a bowl with the caster sugar, then whisk in the hot cream. Pour into an ovenproof dish and place the dish in a baking tray. Pour enough boiling water into the baking tray to come about halfway up the outside of the custard dish. Carefully transfer to the oven and bake for about 40 minutes until it is just set. When you wiggle the dish, it should still have a gentle wobble. Remove from the oven and allow to cool, then chill in the refrigerator for several hours.
Shortly before you want to eat, preheat the oven to 220°C fan (430°F/ gas 9) and line a baking tray with baking parchment. Arrange the plum wedges in the prepared tray and scatter over the orange zest and sugar. Pour over the orange juice and Cointreau, scatter over the tarragon and roast for 20 minutes until soft and caramelised.
Serve the roast plums with the cold custard. If you are feeling decadent, you can brûlée the custard just before serving by scattering with the demerara sugar and blow-torching or grilling under a high heat.