Yeah this is already possible and is known as deep composting. Do not know if it possible to do with vray (probably is but at a very very technical level) but at the moment there is not a industry standard format for it. This will change though as Weta announced that they will be making it possible with the release of openexr 2.0 and that they will also be licensing the tools they use for deep compositing in house to the Foundry.
More about deep compositing can be found here
http://www.fxguide.com/fxguidetv/fxguidetv\_095/
Best,
Rich