The electron valley and spin degree of freedom in monolayer transition-metal dichalcogenides can be manipulated in optical and transport measurements performed in magnetic fields. The key parameter for determining the Zeeman splitting, namely, the separate contribution of the electron and hole g factor, is inaccessible in most measurements. Here we present an original method that gives access to the respective contribution of the conduction and valence band to the measured Zeeman splitting. It exploits the optical selection rules of exciton complexes, in particular the ones involving intervalley phonons, avoiding strong renormalization effects that compromise single particle g-factor determination in transport experiments. These studies yield a direct determination of single band g factors. We measure g_{c1}=0.86±0.1, g_{c2}=3.84±0.1 for the bottom (top) conduction bands and g_{v}=6.1±0.1 for the valence band of monolayer WSe_{2}. These measurements are helpful for quantitative interpretation of optical and transport measurements performed in magnetic fields. In addition, the measured g factors are valuable input parameters for optimizing band structure calculations of these 2D materials.