Hi YOG,
From the security configuration form, this is not supported. That will only export all objects. There are some workarounds which all comes with a price (remember Rumpelstiltskin):
1) Edit the XML file before import (remove not related roles)
2) Use data management. Then you can filter the roles to be exported. Move all user and security settings with data entities - Dynamicspedia
3) Publish only related objects
Now the downsides of all workarounds:
Note that there is no automated logic to find only the duties and privileges related to a single role when exporting the security customizations. To move only related duties and privileges, you would have a tedious job to get only the duties and privileges involved for with that roles.
If you have changed the contents of a privilege, this might be related to multiple roles. If you then import only one, there might be an inconsistency between the configuration form information and the actual behavior of the roles which got not imported or published.
When you import all and publish only objects for one role, the security configuration form, will show all information as got imported. You then don't have the correct overview what is the active published role content.
For the reason of all disadvantages, I would suggest to move all security objects anyway.