Do Dragons choose their names? (xpost from r/skyrim)

So I was messing around in Skyrim, when I began to think about Durnehviir's name (and likewise, his shout).

Broken down, the shout (his name) is comprised of the words "Curse, Never, Dying" which is precisely the predicament that Durnehviir found himself in when he made his deal with the Ideal Masters.

So it got me wondering, did he give himself that name, or was he always known as "curse never dying"?

------ EDIT: Thanks to the great responses. This was my second post ever in a skyrim related subreddit. Didn't realize you guys existed (although I couldn't imagine why not, considering some other subreddits that do). Needless to say, I'm subscribed and I'm interested to see what else I can glean from you guys. I've always been a huge fan of a well written backdrop, and they don't get any better than The Elder Scrolls.