If it's only CoH2 and nothing else it is most certainly a memory leak issue. The question is why is it shutting down your whole system and not just the program.
That could be a faulty memory stick. Sometimes a PC will reboot or bluescreen when some broken part of memory in a stick is used. Such problem won't show in software that doesn't use enough memory to go up there. I would advise a memory test, just to cross one probable reason out.
Another thing to consider is overheating or lack of power. Some other resource demanding software might not use GPU and CPU extensively at the same time, so such problems might not show. It can even run a CPU stress test in such situation and work stable.
To test for overheating you obviously need to log temperatures when in game and read them. Anything over 70 degrees celsius can potentially couse an emergency reboot when it comes to desktop CPUs. As for PSU, it might be worth checking on another, possibly borrowed one, but even listing the name and maximal power of it here can make some way in determining how probably of an issue that is.