A range-separated double-hybrid (RSDH) scheme which generalizes the usual range-separated hybrids and double hybrids is developed. This scheme consistently uses a two-parameter Coulomb-attenuating-method (CAM)-like decomposition of the electron-electron interaction for both exchange and correlation in order to combine Hartree-Fock exchange and second-order Møller-Plesset (MP2) correlation with a density functional. The RSDH scheme relies on an exact theory which is presented in some detail. Several semi-local approximations are developed for the short-range exchange-correlation density functional involved in this scheme. After finding optimal values for the two parameters of the CAM-like decomposition, the RSDH scheme is shown to have a relatively small basis dependence and to provide atomization energies, reaction barrier heights, and weak intermolecular interactions globally more accurate or comparable to range-separated MP2 or standard MP2. The RSDH scheme represents a new family of double hybrids with minimal empiricism which could be useful for general chemical applications.