Wow, didn't know that I am the expert in transportation planning freight calcualtion, too 
But, well, yes, it is possible. Now out of my head
- you need of course the different vendors in the shipment document
- an freight cost item always refer to a partner. Through the settings you define which partner role this partner has to have. So one item is for the insurance, one for the freight, etc.
- You will get one freight cost documents with the different freight cost items.
Brgdfs
Juergen