expats do that all the time.
A good financial advisor can help.
Jamie Tunstall is good and is in Lima.
Generally they are set up through a bank in the isle of man, jersey or guernsey. You can go a less secure route like a panama bank or a bahamas bank, but I prefer the stability of the british isles.
His contact info is:
Jamie Tunstall[email protected]
Canaval y Moreyra 328. San Isidro. Lima
Tel: +(51) 3723612http://p3wi.com/index.php/about-us