The basic strategy is to pump dodge on a Lizardman rogue and support him with three Mages (Earth, Air and Frost) for the Aura of Protection perks.
The end result is a rogue that is totally immune to fire and cold, virtually immune to shock and poison, and dodges most physical attacks.
Note that this is just an exercise for fun. It is NOT meant to be an actual viable party for combat. The main reasons that it can't be are a total lack of damage output (once the mages run out of mana anyway), and difficulty keeping the mages alive. Not to mention that some of the required equipment doesn't appear until late in the game.
I posted all the details on reddit, and you might want to check it out over there because the formatting is a bit better, but I'll paste them here too. Let me know what you think, and tell me if I made any errors!
Evasion:
+70 dodge perks
+40 lurker set
+16 scaled cloak
+14 DEX
+10 shield of the elements
TOTAL: 140
Resist Fire:
+50 fire torc
+30 dodge perks
+22 DEX
+15 shield of the elements
TOTAL: 117 (capped at 100)
Resist Cold:
+50 frostbite necklace
+25 aura of protection
+8 VIT
+15 shield of the elements
+5 nomad gloves
TOTAL: 103 (capped at 100)
Resist Shock:
+30 dodge perks
+25 aura of protection
+22 DEX
+15 shield of the elements
TOTAL: 92
Resist Poison:
+25 poison resistant perk
+25 aura of protection
+20 dodge
+8 VIT
+15 shield of the elements
TOTAL: 93
Rogue stats
Race: Lizardman
Attribute points: 6 into DEX, 4 into VIT
Traits: Poison-resistant, Cold-blooded
Skills: Dodge 50 points.
Mage stats
Race: Human (for the extra skill point)
Attribute points: 6 into VIT, 4 into DEX (don't really care about willpower as we won't be casting many spells, focus on staying alive)
Traits: Skilled + whatever.
Skills: Everything in Earth/Air/Ice magic.