Wow, mascarpone with yogurt
Never though of trying it, can you confirm it is good?

In italy mascarpone is made by whipping mascarpone, egg yolks and sugar: http://tinyurl.com/dfsdam

It's pure heaven, but very high carb.
Probably using sweeteners (or fructose) it can be made into an high-fat low-carb sweet.

Another idea from italy is panna cotta (cooked cream)

It is made with heavy cream, gelatin leaves and sugar: http://tinyurl.com/cdvplv

Again I think a low-carb version of it would be perfect.