I tried to create my own MBean, slightly chanched example from JBoss Admin Guide:

public class My extends ServiceMBeanSupport implements MyMBean {

 private String jndiName;
 private HashMap contextMap = new HashMap();

 public My(){

 }

 public String getJndiName()
 {
 return jndiName;
 }
 public void setJndiName(String jndiName)
 throws NamingException
 {
 String oldName = this.jndiName;
 this.jndiName = jndiName;
 if (super.getState() == STARTED) {
 unbind(oldName);
 try {
 rebind();
 } catch(Exception e) {
 NamingException ne = new NamingException("Failed to update jndiName");
 ne.setRootCause(e);
 throw ne;
 }
 }
 }
 public void startService() throws Exception
 {
 rebind();
 }
 public void stopService()
 {
 unbind(jndiName);
 }
 private void rebind() throws NamingException
 {
 InitialContext rootCtx = new InitialContext();
 Name fullName = rootCtx.getNameParser("").parse(jndiName);
 log.info("fullName="+fullName);
 NonSerializableFactory.rebind(fullName, contextMap, true);
 }
 private void unbind(String jndiName)
 {
 try {
 InitialContext rootCtx = new InitialContext();
 rootCtx.unbind(jndiName);
 NonSerializableFactory.unbind(jndiName);
 } catch(NamingException e) {
 log.error("Failed to unbind map", e);
 }
 }
}

public interface MyMBean extends org.jboss.system.ServiceMBean{
 public String getJndiName();
 public void setJndiName(String jndiName) throws NamingException;
}

<server>
 <mbean code="mymbean.MyMBean"
 name="chap2.ex1:service=My">
 <attribute name="JndiName">inmemory/maps/MapTest</attribute>
 <depends>jboss:service=Naming</depends>
 </mbean>
</server>

ERROR [MainDeployer] Could not create deployment: file:/applictions/jboss/server/default/deploy/MBean.sar
org.jboss.deployment.DeploymentException: mymbean.MyMBean.<init>(); - nested throwable: (java.lang.NoSuchMethodException: mymbean.MyMBean.<init>())
 at org.jboss.system.ServiceConfigurator.install(ServiceConfigurator.java:178)
 at org.jboss.system.ServiceController.install(ServiceController.java:215)
 at sun.reflect.GeneratedMethodAccessor10.invoke(Unknown Source)
 at sun.reflect.DelegatingMethodAccessorImpl.invoke(DelegatingMethodAccessorImpl.java:25)
 at java.lang.reflect.Method.invoke(Method.java:585)
 at org.jboss.mx.interceptor.ReflectedDispatcher.invoke(ReflectedDispatcher.java:141)
 at org.jboss.mx.server.Invocation.dispatch(Invocation.java:80)
 at org.jboss.mx.server.Invocation.invoke(Invocation.java:72)
 at org.jboss.mx.server.AbstractMBeanInvoker.invoke(AbstractMBeanInvoker.java:245)
 at org.jboss.mx.server.MBeanServerImpl.invoke(MBeanServerImpl.java:644)
 at org.jboss.mx.util.MBeanProxyExt.invoke(MBeanProxyExt.java:176)
 at $Proxy4.install(Unknown Source)
 at org.jboss.deployment.SARDeployer.create(SARDeployer.java:232)
 at org.jboss.deployment.MainDeployer.create(MainDeployer.java:935)
 at org.jboss.deployment.MainDeployer.deploy(MainDeployer.java:789)
 at org.jboss.deployment.MainDeployer.deploy(MainDeployer.java:753)
 at sun.reflect.GeneratedMethodAccessor8.invoke(Unknown Source)
 at sun.reflect.DelegatingMethodAccessorImpl.invoke(DelegatingMethodAccessorImpl.java:25)
 at java.lang.reflect.Method.invoke(Method.java:585)
 at org.jboss.mx.interceptor.ReflectedDispatcher.invoke(ReflectedDispatcher.java:141)
 at org.jboss.mx.server.Invocation.dispatch(Invocation.java:80)
 at org.jboss.mx.interceptor.AbstractInterceptor.invoke(AbstractInterceptor.java:118)
 at org.jboss.mx.server.Invocation.invoke(Invocation.java:74)
 at org.jboss.mx.interceptor.ModelMBeanOperationInterceptor.invoke(ModelMBeanOperationInterceptor.java:127)
 at org.jboss.mx.server.Invocation.invoke(Invocation.java:74)
 at org.jboss.mx.server.AbstractMBeanInvoker.invoke(AbstractMBeanInvoker.java:245)
 at org.jboss.mx.server.MBeanServerImpl.invoke(MBeanServerImpl.java:644)
 at org.jboss.mx.util.MBeanProxyExt.invoke(MBeanProxyExt.java:176)
 at $Proxy6.deploy(Unknown Source)
 at org.jboss.deployment.scanner.URLDeploymentScanner.deploy(URLDeploymentScanner.java:319)
 at org.jboss.deployment.scanner.URLDeploymentScanner.scan(URLDeploymentScanner.java:507)
 at org.jboss.deployment.scanner.AbstractDeploymentScanner$ScannerThread.doScan(AbstractDeploymentScanner.java:192)
 at org.jboss.deployment.scanner.AbstractDeploymentScanner$ScannerThread.loop(AbstractDeploymentScanner.java:203)
 at org.jboss.deployment.scanner.AbstractDeploymentScanner$ScannerThread.run(AbstractDeploymentScanner.java:182)
Caused by: java.lang.NoSuchMethodException: mymbean.MyMBean.<init>()
 at java.lang.Class.getConstructor0(Class.java:2647)
 at java.lang.Class.getConstructor(Class.java:1629)
 at org.jboss.mx.server.MBeanServerImpl.instantiate(MBeanServerImpl.java:1217)
 at org.jboss.mx.server.MBeanServerImpl.instantiate(MBeanServerImpl.java:271)
 at org.jboss.mx.server.MBeanServerImpl.createMBean(MBeanServerImpl.java:329)
 at org.jboss.system.ServiceCreator.install(ServiceCreator.java:124)
 at org.jboss.system.ServiceConfigurator.internalInstall(ServiceConfigurator.java:431)
 at org.jboss.system.ServiceConfigurator.install(ServiceConfigurator.java:153)
 ... 33 more