"It is my umbrella."
Translation:Het is mijn paraplu.
Grammatically speaking there is nothing wrong with your sentence. However, saying "Het is de paraplu van mij" is for me personally at least a very unnatural way to say it. People will simply say "Het is mijn/jouw/uw/zijn/haar/onze/jullie/hun paraplu" when referring to me/you/him/her/us/you/them.