Why exception is not caught in BackgroundWorker DoWork routine?

Either I throw exception or induce it naturally in DoWork it is not caught and control is not passed to worker completion routine instead getting that exception which I catch in Program.cs file

Type: System.Reflection.TargetInvocationException
Source: mscorlib
Message: Exception has been thrown by the target of an invocation.
Target Site: System.Object _InvokeMethodFast(System.IRuntimeMethodInfo, System.Object, System.Object[], System.SignatureStruct ByRef, System.Reflection开发者_C百科.MethodAttributes, System.RuntimeType)
Module Name: mscorlib.dll
Module Path: C:\Windows\Microsoft.NET\Framework\v4.0.30319\mscorlib.dll
Stack:
  at System.RuntimeMethodHandle._InvokeMethodFast(IRuntimeMethodInfo method, Object target, Object[] arguments, SignatureStruct& sig, MethodAttributes methodAttributes, RuntimeType typeOwner)
  at System.RuntimeMethodHandle.InvokeMethodFast(IRuntimeMethodInfo method, Object target, Object[] arguments, Signature sig, MethodAttributes methodAttributes, RuntimeType typeOwner)
  at System.Reflection.RuntimeMethodInfo.Invoke(Object obj, BindingFlags invokeAttr, Binder binder, Object[] parameters, CultureInfo culture, Boolean skipVisibilityChecks)
  at System.Delegate.DynamicInvokeImpl(Object[] args)
  at System.Windows.Forms.Control.InvokeMarshaledCallbackDo(ThreadMethodEntry tme)
  at System.Windows.Forms.Control.InvokeMarshaledCallbackHelper(Object obj)
  at System.Threading.ExecutionContext.runTryCode(Object userData)
  at System.Runtime.CompilerServices.RuntimeHelpers.ExecuteCodeWithGuaranteedCleanup(TryCode code, CleanupCode backoutCode, Object userData)
  at System.Threading.ExecutionContext.RunInternal(ExecutionContext executionContext, ContextCallback callback, Object state)
  at System.Threading.ExecutionContext.Run(ExecutionContext executionContext, ContextCallback callback, Object state, Boolean ignoreSyncCtx)
  at System.Threading.ExecutionContext.Run(ExecutionContext executionContext, ContextCallback callback, Object state)
  at System.Windows.Forms.Control.InvokeMarshaledCallback(ThreadMethodEntry tme)
  at System.Windows.Forms.Control.InvokeMarshaledCallbacks()
  at System.Windows.Forms.Control.WndProc(Message& m)
  at System.Windows.Forms.Control.ControlNativeWindow.OnMessage(Message& m)
  at System.Windows.Forms.Control.ControlNativeWindow.WndProc(Message& m)
  at System.Windows.Forms.NativeWindow.DebuggableCallback(IntPtr hWnd, Int32 msg, IntPtr wparam, IntPtr lparam)
  at System.Windows.Forms.UnsafeNativeMethods.DispatchMessageW(MSG& msg)
  at System.Windows.Forms.Application.ComponentManager.System.Windows.Forms.UnsafeNativeMethods.IMsoComponentManager.FPushMessageLoop(IntPtr dwComponentID, Int32 reason, Int32 pvLoopData)
  at System.Windows.Forms.Application.ThreadContext.RunMessageLoopInner(Int32 reason, ApplicationContext context)
  at System.Windows.Forms.Application.ThreadContext.RunMessageLoop(Int32 reason, ApplicationContext context)
  at System.Windows.Forms.Application.Run(Form mainForm)

Code snippet from the program

// ...
BackgroundWorker worker = new BackgroundWorker();                
worker.WorkerSupportsCancellation = true;
worker.WorkerReportsProgress = true;
worker.DoWork += new DoWorkEventHandler(worker_DoWork);
worker.ProgressChanged += new ProgressChangedEventHandler(worker_ProgressChanged);
worker.RunWorkerCompleted += new RunWorkerCompletedEventHandler(worker_RunWorkerCompleted);                
worker.RunWorkerAsync(); 
// ...

void worker_DoWork(object sender, DoWorkEventArgs e)
{
    // ... 
    throw new Exception("I want to be caught and passed to completed event handler")   
    // ...
}

You also can try and catch your exception in worker_DoWork. This way it will be sure not to propagate elsewhere.