Can you please list your system components (CPU, motherboard, Graphics card, powersupply, OS) and your CPU/GPU temps? You can use apps like GPUZ that will tell your GPU temps while in game and Coretemp for your CPU.
What do you mean by "shut down"? Does the game crash or does your computer restart? If it happens at a certain time/place in the game then it may be a bug with the game itself.