In addition to Laura Knotek's question which phone are you using?
if you have windows phone 8.x, you can change this in the settings in the phone app via the three dots at the bottom and then change your "show my caller id to" your preferred - "my contacts" or "everyone".
If you have windows mobile 10, open the phone app, go to your call history then the three dots at the bottom and then settings and then click more settings for phone. The last steps are the same as above.
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