Radio Free Asia reported Tenzin Wamgmo, about 20 years old, called for freedom in Tibet and the return of the Dalai Lama, Tibet's spiritual leader living in exile in India.
RFA said eight Tibetan monks have self-immolated this year, mostly in the Ngaba area in China's southwestern Sichuan province, and four of them died. The monks set themselves afire to protest Chinese rule and alleged human rights abuses by Chinese security forces.
Wamgmo of Ngaba is believed the first Tibetan female to self-immolate since the Tibetan crisis began in the 1950s.
She lived a few miles from the Kirti monastery, the site of protests against Chinese rule and from where most of the monks who self-immolated this year have come.
"A nun killed herself by setting her body on fire," Aba Jigme, a native of Ngaba, told RFA. "But she died on the spot after calling for freedom for Tibet and the return of the Dalai Lama."
Chinese forces have increased security in Ngaba so they can douse self-immolating monks more quickly, and the nun set herself ablaze outside the town.
RFA said Wamgmo was from the Dechen Choekorling Nunnery, one of the biggest convents in Ngaba, with about 350 nuns.
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