If a matching handler (or ellipsis catch handler) cannot be found for the current exception, the predefined terminate run-time function is called. (You can also explicitly call terminate in any of your handlers.) The default action of terminate is to call abort. If you want terminate to call some other function in your program before exiting the application, call the set_terminate function with the name of the function to be called as its single argument. You can call set_terminate at any point in your program. The terminate routine always calls the last function given as an argument to set_terminate.

The following example throws a char * exception, but does not contain a handler designated to catch exceptions of type char *. The call to set_terminate instructs terminate to call term_func.

// exceptions_Unhandled_Exceptions.cpp  
// compile with: /EHsc  
#include <iostream>  
using namespace std;  
void term_func() {  
   cout << "term_func was called by terminate." << endl;  
   exit( -1 );  
}  
int main() {  
   try  
   {  
      set_terminate( term_func );  
      throw "Out of memory!"; // No catch handler for this exception  
   }  
   catch( int )  
   {  
      cout << "Integer exception raised." << endl;  
   }  
   return 0;  
}  

term_func was called by terminate.  

The term_func function should terminate the program or current thread, ideally by calling exit. If it doesn't, and instead returns to its caller, abort is called.

C++ Exception Handling