Prime numbers the rank of which is also a prime.

This sequence is well-know at OEIS, namely sequence A007097, where one can find a lot of information and references: $$ 1, 2, 3, 5, 11, 31, 127, 709, 5381, 52711, 648391, 9737333, 174440041, 3657500101, 88362852307, 2428095424619, 75063692618249, 2586559730396077, 98552043847093519, 4123221751654370051, 188272405179937051081, 9332039515881088707361, 499720579610303128776791, 28785866289100396890228041$$ The name is "Primeth recurrence": $a(n+1) = a(n)$-th prime.

Sloane's OEIS simply calls them "prime-indexed primes."

Some more common notation would be $p_i$ for the $i$th prime. Then we have the prime counting function $\pi(p_i) = i$ (this function is defined for all positive numbers).

Using these notations, we can write the sequence $$1, p_1, p_{p_1}, p_{p_{p_1}}, p_{p_{p_{p_1}}}, \ldots$$

This is Wilson's primeth recurrence.

Although both the sequence of prime-indexed primes and Wilson's primeth recurrence are infinite sequences, the former can be said to be less "exclusive" than the latter. If we iterate the function $f(n) = p_{\pi(n)}$, we'll find that all prime-indexed primes eventually reach a nonprime, but only those in Wilson's primeth recurrence reach $1$ without any composite numbers along the way.