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In martial art people hit their body (e.g., with small bean bags) to become more insensitive to pain. Can the sensory neurons die during this procedure? I think this is just an urban legend. Instead, I think the skin receptors desensitize, but they don't degenerate by the constant mechanical stress. However, I cannot find any research in the topic.

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As far as I know, adaptation of peripheral receptors, including pain receptors, is transient (Giniatullin & Nistri, 2013)

Instead, my educated guess is that the increase in subjective pain threshold plays an important role. Pain thresholds differ between the sexes (Chesterton et al., 2003), and depend on disease and physical status (Kosak et al., 1996). Repeated exposure to painful stimuli hardens one mentally (I have practiced martial arts for two decades ).

Morever, there is an interesting answer on Martial Arts SE on the question How should I expect my fist to change over time from punching? Here it is shown that extensive training stimulates the growth of additional skin and bone. Extra skin (calluses) may dampen the impact of painful pressure stimuli.

References
- Chesterton et al., pain (2003); 101(3): 259–66
- Giniatullin & Nistri, Front Cell Neurosci (2013); 7(245): 1-9
- Kosak et al., pain (1996); 64(3): 415–23

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