I found the reason for the above mentioned exception:
1. in a web client, you needn't set all the properties but instead just invoke the lookup method of the Context object.
2. the lookup name is NOT only the ejb-ref-name one defines in the sun-web.xml but the ejb-ref-name with the prefix "java:comp/env/" !
So my lookup code looks like this:
Context context = new InitialContext();
ejbBean = (EjbBeanRemote) context.lookup("java:comp/env/ejb/ejbBean");
My ejb-ref-name therefore is "ejb/ejbBean"
Ralph, thanks a ton for your help, with Programmatic Login it finally works, that was the key!
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