How to handle unhandled exceptions in windows service?

I have used the following code section in a windows service application to handle unhandled exception.

[SecurityPermission(SecurityAction.Demand, Flags = SecurityPermissionFlag.ControlAppDomain)]
        private static void Main(string[] args)
        {
            AppDomain.CurrentDomain.UnhandledException +=
                new UnhandledExceptionEventHandler(CurrentDomainUnhandledExceptionHandler);
            if (args.FirstOrDefault(s => s.ToLower() == "console") != null)
            {
                ConsoleMain(args);
            }
            else
            {
                ServiceMain(args);
            }
        }

    private static void CurrentDomainUnhandledExceptionHandler(object sender, UnhandledExceptionEventArgs e)
    {
        try
        {
            //Code before service stops
        }
        catch (Exception ex)
        {
                
        }
    }
        protected override void OnStart(string[] args)
        {
            var applicationThread = new Thread(Run) {IsBackground = true};
            applicationThread.Start();
        }

This code works for all unhandled exception while in debug mode in console. But it doesn’t work when I run the application as windows service. It doesn’t hit the handler function but the service stops with error(exception) as seen in event log. What might be the problem?