Here's another way you could do this using a Color Fill layer: With your selection active, make a new Color Fill layer. In Blending Options, set Fill Opacity to zero percent. Add a Stroke, with Position set to Inside, Fill Type set to Gradient, Style set to Shape Burst, and a Black to Transparent gradient.
[EDIT]
Better than a Stroke, use Inner Glow, with color set to black, Blend Mode set to Multiply, and Source set to Edge.
... View more