Windows: Unhandled exception crash handling

How can I handle unexpected termination of the application? Currently our application crashes silently, which isn’t acceptable. Ideally I’d like to create a custom crash reporter.

In UE4 they register an unhandled exception filter with SetUnhandledExceptionFilter, and since UE4 source code is open you can modify this to do what you want (show a crash reporter window, write minidumps with heap info, etc…).
Is this possible to do in Unity?

I ended up solving this by making a DLL and calling SetUnhandledExceptionFilter from there.
When the Unity-application starts, I call a function in the DLL that sets the unhandled exception filter. When I get an unhandled exception I can now handle that in the DLL and log some info, create a minidump and launch our crash reporter executable.