how to manage nested transaction with try catch

--Drop Table Tab1

Begin Transaction TR1; 
Save Transaction TR1;
    Create Table Tab1(f1 decimal(10,0));
    Begin Transaction TR2
    Save Transaction TR2
        insert into Tab1 values(1);
        Begin Transaction TR3;
        Save Transaction TR3;
            insert into Tab1 values(2);
            Begin Try 
                insert into Tab1 values('OK');
                Commit Transaction TR3;
            END TRY
            BEGIN Catch
                print 'catch'
                RollBack Transaction TR3;
            End Catch

        insert into Tab1 values(3);
        Commit Transaction TR2
    insert into Tab1 values(4);
Commit Transaction TR1;
--Commit Transaction;
select * from Tab1;
Drop Table Tab1

Select @@TRANCount

Error Occures :

Msg 3931, Level 16, State 1, Line 17 The current transaction cannot be committed and cannot be rolled back to a savepoint. Roll back the entire transaction.

How to handle this.

When certain type of errors get raised you cannot rollback to a save point. See Martin Smith's answer to Rollback transaction to savepoint on failing ALTER TABLE … ADD CONSTRAINT. The way you detect this is to test Xact_state().

However your problem is somewhat different because you're also trying to use nested transactions. Nested transactions don't really work in SQL as we would expect them to.

You can only name the outermost transaction. See Transactions (Database Engine)

For example this fails with Cannot roll back TR2. No transaction or savepoint of that name was found.

    BEGIN TRANSACTION TR1; 
    BEGIN TRANSACTION TR2
    ROLLBACK TRANSACTION TR2
    COMMIT Transaction TR1

From Nesting Transactions

Committing inner transactions is ignored by the SQL Server Database Engine
It is not legal for the transaction_name parameter of a ROLLBACK TRANSACTION statement to refer to the inner transactions of a set of named nested transactions. transaction_name can refer only to the transaction name of the outermost transaction

Paul S. Randal explores this further in A SQL Server DBA myth a day: (26/30) nested transactions are real

The best you can do is use Save points instead and check the Xact_state in your catch and at the end.

BEGIN TRANSACTION tr1; 

SAVE TRANSACTION tr2; 

CREATE TABLE tab1 
  ( 
     f1 DECIMAL(10, 0) 
  ); 

SAVE TRANSACTION tr3 

INSERT INTO tab1 
VALUES     (1); 

SAVE TRANSACTION tr4; 

INSERT INTO tab1 
VALUES     (2); 

BEGIN try 
    -- change the order of the follwoing two lines around to see the difference
    INSERT INTO tab1 VALUES (1 / 0); --Results in a rollback to savepoint
    INSERT INTO tab1 VALUES ('OK');  --Results in a complete rollback

    COMMIT TRANSACTION tr4; 
END try 

BEGIN catch 
    IF Xact_state() = -1 
      BEGIN 
          PRINT 'rollback transaction no other work can be done' 

          ROLLBACK TRANSACTION; 
      END 
    ELSE 
      BEGIN 
          PRINT 'rollback to savepoint' 

          ROLLBACK TRANSACTION tr4 
      END 
END catch 

IF Xact_state() > 0 
  BEGIN 
      INSERT INTO tab1 
      VALUES     (3); 

      INSERT INTO tab1 
      VALUES     (4); 

      COMMIT TRANSACTION tr1; 

      SELECT * 
      FROM   tab1; 

      DROP TABLE tab1 
  END