Hi all !
Ok, I'll try to give you some new informations (I don't have read all the replies so forgive me if I say something already said).
Well, it is possible that an electron in an excited state absorbs another (pump) photon to be in a much higher energy level. Such a mechanism is known as "upconversion" or "superfluorescence".
The principle is quite simple :
Suppose that in the energy diagram of the gain media (rare-earth ions for exemple), there are several levels that can absorb photons of the same energy (same wavelength). It is then possible, if the levels are imbricated, that more than one photon are absorbed by the same electron, by a two steps mechanism (and not a one step like two photons absorbtion that is another mechanism).
For exemple, you can take a thulium ion in ZBLAN glass (where phonon energy is less than in silica). It is possible with a pump laser of ~1150nm to excite the fundamental level to a higher level which rapidely relax to an intermediate level. From this level, the electron can radiatively relax to the ground by the emission of a photon (of less energy than the pump photon), or absorb another pump photon to get in a higher energy level. At such a pump wavelength, thulium can absorb up to three photons of the same pump. It is then possible to build a visible laser (emission at 485nm) by the use of a pump laser of higher wavelength !
In order an electron could absorb another photon, the cross section (probability of absorbtion) at the pump wavelength from an excited state must be high enough, and the phonon energy must be not too high to allow higher lifetimes of the excited states. That is why upconversion is difficult in silica, but much easier in ZBLAN glasses.
I hope you understood what I wrote, and that it gives you a beginning for complete answer...