In this paper, we consider the setting where large language models (LLMs) are trained using reinforcement learning (RL) to simultaneously improve reasoning accuracy and verbalize its confidence. Our reward scheme uses two functions for rewarding confidence verbalized by the LLM: one when the LLM is correct and a different one when the LLM is incorrect. With a poorly designed reward scheme, the LLM may be incentivized to answer incorrectly so that it can be confident that its answer is indeed incorrect, a phenomenon that we call confidence reward hacking. We propose the concept of non-hackable confidence reward schemes and define a spectrum of such reward schemes for RL confidence calibration training in LLMs. We demonstrate that selective confidence reward hacking can occur in practical datasets with reward schemes that are not designed to be non-hackable. We also demonstrate that the reward scheme with the best calibration to accuracy tradeoff depends on the dataset and the application, and propose using the reward scheme as a hyperparameter to optimize the tradeoffs in accordance to what is important for the application. The code of our experiments is available in https://anonymous.4open.science/r/rl-confidence-calibration-9ED4/README.md.