1 Ask for the caller's name and/or ID (no matter he/she is a cop, banker, credit card issuer, doctor or whatever) and then tell him/her you will call back with the info.
2 Find the official number (from phone book, phone company, internet, etc.) of the agency the caller the caller said that he/she represents, then call back and ask to speak to the caller.
3 Release your personal info over the phone only when you reached the caller with the official number you dialed.