You can set thresholds for CPU, Memory for each individual host, and select whether incidents should be triggered against these, but the incidents it will create will be the OOTB ones. In the incident dashboard you will be able to see which host it was that triggered the incident.
To edit thresholds and alerting for hosts go to client -> Settings -> Dynatrace Servers, select your server, then go to Infrastructure, Hosts. Select the host you want and click Edit. This will give you a tab called Thresholds where you can edit what will trigger an incident. On the Alerts tab (previous window) you will be able to specify which hosts and metrics will trigger incidents.
Let me know if you have any issues.