Preheat oven to 350 degrees. Grease and flour 2 (8 or 9 inch) round cake pans. In a large bowl, beat the cake mix, oil, oranges, eggs, coconut rum, and sour cream until well blended. Bake for 18-20 minutes, or until a toothpick inserted in center comes out clean. Cool completely. Meanwhile, in a medium bowl combine the crushed pineapple and instant pudding mix. With an electric mixer, beat the cream until soft peaks form. Fold the pineapple mixture into the whipped cream to combine. Frost in between each layer, and the top and sides of the cake with the pineapple whipped cream mixture. Refrigerate cake until ready to serve.