In a large bowl, dissolve yeast in warm water. Add the milk, sugar, butter, egg, salt and 2 cups flour; beat until smooth. Stir in enough remaining flour to form a soft dough.
Turn onto a floured surface; knead until smooth and elastic, about 6-8 minutes. Place in a greased bowl, turning once to grease top. Cover and let rise in a warm place until doubled, about 1 hour.
In a small saucepan, combine the filling ingredients. Bring to a boil, stirring constantly. Remove from the heat and set aside.
Punch down dough. Turn onto a lightly floured surface. Divide dough in half; roll each portion into a 12-in. circle. Spread with filling to within 1/2 in. of edges.
Cut each circle into 12 wedges. Roll up wedges from the wide end and place point side down 2 in. apart on greased baking sheets. Curve ends to form a crescent. Cover and let rise until doubled, about 30 minutes.
In a small bowl, beat egg yolk and water; brush over rolls. Bake at 350° for 15-20 minutes or until golden brown. Remove from pans to wire racks.