Comply, but watch for openings. Assuming you're here on THR because you're preparing for this sort of thing (and that preparation probably includes being armed), you're likely already ahead of this victim.
Your opening, should one arise, may be a chance to draw and fire, a chance to attempt a disarm, or a chance to bolt. I'm not too proud to run like a scared rabbit if that's the chance I get. If that's all I have other than certain execution, I'm taking it. Even if I catch a bullet or two as I go, my chances are still higher than with an arm's-reach shot to the head while on my knees.
Many disarm techniques involve feigning compliance while holding one's hands up, palms facing the aggressor, in a submissive manner, while gently closing distance to within grabbing range. Training in this, both the fake submission and the actual disarm, should be in your mental arsenal. So should flight techniques.