Does the game end if all current investigators are defeated?
From the FAQ (Page 3)


  Q. If all investigators are defeated at the same time, do investigators lose the game?
  
  A No. At the end of the Mythos Phase, each defeated investigator will choose a new investigator to play as. However, if being defeated would cause a player to be eliminated, such as if the Ancient One has awoken, all players could be eliminated. In this case, investigators lose the game.


As for when players are eliminated when defeated, the Reference Guide (Page 5) provides:


  
  Eliminated players do not choose new investigators after being 
  defeated.
  If an investigator is defeated and there are no undefeated 
  investigators available, that player is eliminated.
  If an investigator is defeated or devoured after the Ancient One 
  awakens, that player is eliminated.
  If the investigators win the game, any eliminated players win as 
  well.
  If all players have been eliminated, the investigators lose the game.