Tapioca starch is a great alternative; I think it actually gives a slightly nicer texture than cornstarch. I've made puddings that were originally written with tapioca starch but haven't done the substitution myself, but I've seen suggestions that you use 1.5-2x as much tapioca starch as corn starch.
Here's a recipe from our contributor Alice Medrich: https://food52.com/recipes/35141-vanilla-rice-flour-pastry-cream. It uses rice flour instead of corn starch. I haven't tried it myself, but I'd imagine that you can do the same 1:1 substitution of whole milk to coconut milk.
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