If you are dealing with a reputable company, it should mean an insurance policy that covers anything that might go wrong during your travels, such as lost luggage, missed flights, stolen possessions, injuries, and so forth. That said, technically, "comprehensive travel insurance" means whatever the company selling it says it means in the legal contract you sign when you purchase this insurance. It is very important to read what the company says it means, and not assume that everything is covered just because they use this name. The contract is what matters, not the name. Be careful!

"Comprehensive" means full, exhaustive, covering all possibilities. However, the term refers to an insurance product which has specific terms and conditions and so you would need to check the precise details. Undoubtedly, it won't cover every situation and all losses but it should be better than very cheap options.