Place the milk, cinnamon stick, star anise, vanilla, and nutmeg in a pan set over medium-low heat. Leave to infuse, stirring occasionally, for 20 minutes, making sure it doesn’t boil. Add the chocolate and continue to heat gently, stirring often, until the chocolate has melted. Once the chocolate has melted, keep heating it for another 10 minutes. Remove the cocoa from the heat, add the bourbon, and stir to combine. Remove the cinnamon stick and star anise and divide the hot chocolate between four mugs.