Aha!! Digby I presume?
Im using this kit for my RMG and the umbrella was included.
For those not that fortunate I would suggest:
Start with a metalrod of the apropiate diameter.
Sand and file one end rounded.
Cut it to length.
Next role a cone of putty like Milliput or A&B.
Insert the rod in the middle of the cone.
Now you can decide wheter you would sculpt the folds while wet or carve them out when set.
Use led foil for straps and perhaps the tip of a pin for the point of the umbrella.
IMPORTANT!!
Please note that the sources report Digby wearing the berade and not the helmet as depicted in your picture and in my kit.