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I don't know how traditionally you were raised, or how Americanized you and your parents really are. This may be as much as test of the culture differences on when you are an adult and when you still have to obey your parents as it on the pistol itself.

If I were in your place, I would first try to politely explain to them that the country and times are different here. The pistol is much more acceptable, both for defense from criminals and for recreation. Then I might ask them if they think the US is not headed down a path that might make them and you decide to leave here sometime in the near future. This time, you want to ensure that you don't have to leave if you can avoid it, and you want to be able to protect yourself if you ever do have to flee.

In addition to my personal belief that we are headed towards a revolution or possibly an economic collapse, there is the example of the Katrina evacuations and the problems inherent in it.

Then I might try to start working gently on the problem of how independent an American adult is compared to the traditional Asian patriarchal family. But that is a much harder debate, I think.