Frame narratives
Frame tales
Narratives, Frame

Cuddon, J. A dictionary of literary terms and literary theory, c1998 (Frame story: one which contains either another tale, a story within a story, or a series of stories.)
Baldick, C. Oxford dictionary of literary terms, c2008 (Frame narrative (frame story): a story in which another story is enclosed or embedded as a 'tale within the tale', or which contains several such tales.)
Wikipedia, October 31, 2012 (frame story (also frame tale, frame narrative, etc.) is a literary technique that sometimes serves as a companion piece to a story within a story, whereby an introductory or main narrative is presented, at least in part, for the purpose of setting the stage either for a more emphasized second narrative or for a set of shorter stories. The frame story leads readers from a first story into another, smaller one (or several ones) within it.)

Stories that contain other stories.