Lady Mary Pierrepont was born in London on 15 May 1689; her baptism took place on 26 May at St. Paul's Church in Covent Garden. She was a daughter of Evelyn Pierrepont, 5th Earl of Kingston-upon-Hull, and his first wife, Lady Mary Fielding. As a pioneer of modern medicine, she was the first European who insisted on inoculation of her children of small doses of smallpox long before programmes of preventative medicine began, based on her own observational evidence of Turkish milkmaids similarly inoculated who recovered from the disease. Her mother had three more children before dying in 1692. The children were raised by their Pierrepont grandmother until Mary was 9. Lady Mary was then passed to the care of her father upon her grandmother's death. She began her education in her father's home. Family holdings were extensive, including Thoresby Hall and Holme Pierrepont Hall in Nottinghamshire, and a house in West Dean in Wiltshire. She used the library in her father’s mansion, Thoresby Hall in the Dukeries of Nottinghamshire, to “steal” her education, teaching herself Latin. Thoresby Hall had one of the finest private libraries in England, which she loved, but it was lost when the building burned in 1744. By about fourteen she had written two albums filled with poetry, a brief epistolary novel, and a prose-and-verse romance modeled after Aphra Behn's Voyage to the Isle of Love (1684). She also apparently corresponded with two bishops, Thomas Tenison and Gilbert Burnet, who supplemented the instructions of a governess she despised. Lady Mary would later describe her governess' teachings as "the worst in the world".
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