Why is it possible to calibrate your subjective probabilities? Humans tend to be overconfident in their predictions; when most people say that there's a 95% chance that something will happen, they're usually wrong far more than 5% of the time.  Whereas what ought to happen is that for all $x$, if a person makes a lot of predictions of the form "There is an $x\%$ chance that P will occur," then about $x\%$ of them should come true.  If a person's predictions does satisfy this property, then their subjective probabilities are said to be well-calibrated.

Now there may be no one who is perfectly well-calibrated, but some people are better than others; see the book "Superforecasting" for information on people who are extremely well-calibrated.  But calibration isn't something fixed from birth; you can train yourself to be better-calibrated by playing a game where you assign a probabilities to a bunch of things and then you're scored by how well-calibrated your subjective probabilities are (using e.g. the Brier score).  See this web site and this website.

But my question is, why is it possible to become well-calibrated using such a game?  Let $A$ be the set of possible events $f$ be a function from $A$ to $\mathbb R$ that gives a numerical assessment of how confident a person feels about a given event.  Then what playing the game is designed to do is to help you find an increasing function $g$ from $\mathbb R$ to $[0,1]$ such that $g \circ f$ is well-calibrated.

But in order for such a $g$ to exist, it needs to be the case that for all $x,y \in \mathbb R$, if $x&gt;y$ then the percentage of outcomes in $\{P \in A: f(P) =x\}$ which are true needs to be greater than the percentage of outcomes in $\{P \in A: f(P) =y\}$ which are true.  In other words, it needs to already be true that you're right more often about statements that you're more confident in than statements you're less confident in.  But why should this be the case?  Are there any decision-theoretic assumptions or rationality axioms that imply this is the case?  Has it been empirically observed that humans are more often right about what they're more confident in?

It would certainly be a useful evolutionary skill if humans' internal confidence levels reflected external reality, but I've never heard of anyone discuss this before.
Empirically yes, it seems confidence has a positive correlation with correctness. One reference is Bordalo et al. 2018 Beliefs about gender, see Fig.1 for example. The actual probability of a correct answer is different from own or other people's estimate of the probability of a correct answer, but if the estimated probability is higher, then the actual probability is higher. 

As to the axioms or theoretical assumptions - you can just assume that people's estimates of their correctness are increasing in the correctness. Or assume Bayesian updating about own correctness, in which case past correct guesses would increase the guesser's confidence in own correctness. The number of past correct guesses in turn is positively correlated with the guesser's actual correctness (by the Law of large numbers).