Page 12 learn to play, eliminated:

The remaining investigators have a single additional investigator phase to attempt to complete their investigation. At the end of that investigator phase, if the investigators did not complete the investigation, they lose the game.

Page 12 reference rules, eliminated:

When an investigator is eliminated, the remaining investigators lose the game at the end of the next investigator phase.

Page 11, investigator phase:

During the investigator phase, the investigators each take one turn in the order of their choice.

So I assume that there is just one investigator's phase before the Mythos phase, not one investigator's phase for each player.

With this in mind, this is my question.

3 investigators, A, B and C (in order of play). B dies, so:

a) C plays, then mythos phase, then A (each other player can play one, although different, investigator phase), end of game.

b) C plays, then mythos phase, then A, then C (one additional full investigator phase), end of game.

c) C plays (end of that investigator phase), end of game.

Next investigator phase is the next time an entire investigator phase is resolved, not the phase of the next investigator (which doesn't exist: you don't have a Carolyn Fern phase, for example)

End of NEXT investigator phase, so option b) is the correct one. The Investigator Phase is the full phase where all investigator's perform their actions, followed by the Mythos Phase.

Note that there is no order of play to the investigators, only that the investigators must complete both their actions before passing on to the next investigator. So you could also go C, Mythos Phase, C then A.